Checking date: 28/04/2020

Course: 2019/2020

Dynamic Asset Pricing
Study: Master in Business and Finance (69)

Coordinating teacher: SERRANO JIMENEZ, PEDRO JOSE

Department assigned to the subject: Department of Business Administration

Type: Electives
ECTS Credits: 5.0 ECTS


Students are expected to have completed
Financial Economics, Quantitative Methods I & II
Competences and skills that will be acquired and learning results.
- To know the main approaches for pricing assets - Empirical analysis of the most relevant asset pricing models in the financial literature
Description of contents: programme
-Stochastic discount factor and pricing equation -Consumption asset pricing model and the puzzle of the risk premium -Empirical evidence of pricing models -Pricing models with habit preferences -Continuous time pricing: Ito's lemma and the Girsanov theorem -Stochastic differential equations and the Black-Scholes model -Derivative pricing. Applications.
Learning activities and methodology
Individual meetings with students for advising purposes
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40
Basic Bibliography
  • John H. Cochrane. Asset Pricing (revised edition). Princeton University Press. 2005
Additional Bibliography
  • Hamilton, J.D.. Time series analysis. Princeton University Press. 1994

The course syllabus and the academic weekly planning may change due academic events or other reasons.